Leptictidium is actually a fairly exceptional little mammal. The general rule in fossils is that the smaller you are the more likely it is that parts of your body, or the entirety of your remains, will be lost over millions of years. However, Leptictidium fossils are fairly abundant and not only of good quantity, but also of good quality; many of the fossils found are entire or nearly entire skeletons. This is due in part to the fact that these fossils are slightly younger than the fossils we typically discuss and because these small mammals lived in the underbrush of forests. The underbrush of forests contain a lot of materials that can quickly bury animals and, in forests near swampy lands, the additional material inundating the forest floor during flood events also added to the positive preservational bias. Additionally, forest fires, a common occurrence in a natural system, would have caused the suffocation and burial of these small mammals fairly easily. Regardless of the method of preservation or reason for exceptional preservation, numerous well detailed individuals have been discovered and unearthed throughout Europe and a great deal of the anatomy of Leptictidium is known and can be studied in the future as well.
The fleshing out of past creatures is often difficult without skin impressions but, again thanks to the wonderful preservation of specimens of this animal, the fleshy details of Leptictidium are a little more well known. In some instances the overall body shape of the soft anatomy of Leptictidium has been preserved as a carbonized film that looks like a dirty halo around the skeletal fossil. The finest details of the face have been little preserved, but extrapolations have been fleshed out using what details have been preserved and with modern analogues filling in any gaps of hypothetical behavior and form. The analogue most often used for Leptictidium are the elephant shrews (Family Macroscelididae) of Africa. Also insectivorous, the features that make elephant shrews successful have been incorporated into Leptictidium, to a point, to make up for missing details of the soft anatomy and the comparison between the two sets of animals has drawn parallels and enhanced understanding of the skeletal structures as well. The proboscis seen in documentaries and in many fleshed out illustration is based in large part on the elephant shrew proboscis, which is actually kind of funny to see in action.